| Publication | Date of Publication | Type |
|---|
Robust multiple stopping -- a duality approach
Mathematics of Operations Research | 2025-06-02 | Paper |
Robust decisions for heterogeneous agents via certainty equivalents
European Journal of Operational Research | 2024-07-16 | Paper |
Solving maxmin optimization problems via population games
Journal of Optimization Theory and Applications | 2024-05-14 | Paper |
Contingent Capital with Stock Price Triggers in Interbank Networks
Mathematics of Operations Research | 2024-02-23 | Paper |
Comment on ``A theoretical foundation of ambiguity measurement''
Journal of Economic Theory | 2023-02-01 | Paper |
Rabin's calibration theorem revisited
Economics Letters | 2022-01-21 | Paper |
``Regression anytime'' with brute-force SVD truncation
The Annals of Applied Probability | 2021-11-04 | Paper |
``Regression anytime'' with brute-force SVD truncation
The Annals of Applied Probability | 2021-11-04 | Paper |
Time-consistency of optimal investment under smooth ambiguity
European Journal of Operational Research | 2021-06-07 | Paper |
Technical note: The joint impact of F-divergences and reference models on the contents of uncertainty sets
Operations Research | 2020-10-20 | Paper |
Perturbation bounds for Monte Carlo within metropolis via restricted approximations
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Pathwise dynamic programming
Mathematics of Operations Research | 2020-03-12 | Paper |
`Regression Anytime' with Brute-Force SVD Truncation
(available as arXiv preprint) | 2019-08-22 | Paper |
Performance bounds for optimal sales mechanisms beyond the monotone hazard rate condition
Journal of Mathematical Economics | 2019-06-26 | Paper |
Cross-hedging minimum return guarantees: basis and liquidity risks
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Perturbation Bounds for Monte Carlo within Metropolis via Restricted Approximations
(available as arXiv preprint) | 2018-09-25 | Paper |
Robust measurement of (heavy-tailed) risks: theory and implementation
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Perturbation theory for Markov chains via Wasserstein distance
Bernoulli | 2018-03-27 | Paper |
Perturbation theory for Markov chains via Wasserstein distance
Bernoulli | 2018-03-27 | Paper |
A primal-dual algorithm for BSDEs
Mathematical Finance | 2017-07-21 | Paper |
Revenues and welfare in auctions with information release
Journal of Economic Theory | 2017-06-28 | Paper |
Iterative improvement of lower and upper bounds for backward SDEs
SIAM Journal on Scientific Computing | 2017-05-31 | Paper |
| Pathwise Iteration for Backward SDEs | 2016-05-24 | Paper |
Pathwise Iteration for Backward SDEs
(available as arXiv preprint) | 2016-01-01 | Paper |
Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
Extraction of Quantifiable Information from Complex Systems | 2015-06-18 | Paper |
Error bounds of MCMC for functions with unbounded stationary variance
Statistics & Probability Letters | 2015-05-18 | Paper |
Estimating residual hedging risk with least-squares Monte Carlo
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
| Non-asymptotic error bounds for sequential MCMC methods | 2014-07-25 | Paper |
| Faster Comparison of Stopping Times by Nested Conditional Monte Carlo | 2014-02-02 | Paper |
Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
(available as arXiv preprint) | 2014-01-01 | Paper |
Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators
(available as arXiv preprint) | 2012-01-01 | Paper |
Non-asymptotic Error Bounds for Sequential MCMC Methods in Multimodal Settings
(available as arXiv preprint) | 2012-01-01 | Paper |
